3 papers
q-fin.TR2026
The Convergence Rate of Stochastic Tracking with Application to Optimal Execution
Marcel Nutz, Moritz Voss
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-as…
math.OC2023
Equilibrium in Functional Stochastic Games with Mean-Field Interaction
Eduardo Abi Jaber, Eyal Neuman, Moritz Voß
We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on control…
q-fin.MF2018
Optimal investment with transient price impact
Peter Bank, Moritz Voß
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provid…